Research method
Price change density histogram
Price change density histogram is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive8 readings
1986Constructing price-change density histograms and symmetry tests1986Calendar-locked averaging of price-change histogram categories1986Chi-square test for clustered price-change histograms1988Empirical price-change counts versus borrowed statistics1991Constructing tick engines to match price-change histograms1995Constructing mean-deviation histograms and price quantiles1996Constructing a price occupancy histogram and a smoothed mobility reading2003Treat an opening gap as a completed session event
This registry entry describes a research method. It is not investment advice and does not make a performance claim.